Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 1 1 1
Score -10.45 -6.68 -9.83
Market Cap (Millions USD) 9238.37 8057.48 7837.74
Predicted Beta 0.58 0.56 0.55
Idiosyncratic Volatility 4.19 4.49 5.02

Annualized return and volatility

EWZ
Annualized Return 0.0765
Annualized Std Dev 0.3752
Annualized Sharpe (Rf=0%) 0.2038

Row

Daily Return Statistics

EWZ
Observations 4976.0000
NAs 138.0000
Minimum -0.1963
Quartile 1 -0.0118
Median 0.0005
Arithmetic Mean 0.0006
Geometric Mean 0.0003
Quartile 3 0.0129
Maximum 0.2558
SE Mean 0.0003
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0012
Variance 0.0006
Stdev 0.0236
Skewness -0.0247
Kurtosis 7.2767

Downside Risk

EWZ
Semi Deviation 0.0169
Gain Deviation 0.0162
Loss Deviation 0.0172
Downside Deviation (MAR=210%) 0.0212
Downside Deviation (Rf=0%) 0.0167
Downside Deviation (0%) 0.0167
Maximum Drawdown 0.7725
Historical VaR (95%) -0.0366
Historical ES (95%) -0.0541
Modified VaR (95%) -0.0350
Modified ES (95%) -0.0537
From Trough To Depth Length To Trough Recovery
2008-05-21 2016-01-21 NA -0.7725 2971 1966 NA
2000-09-08 2002-10-16 2004-01-12 -0.7221 855 536 319
2004-01-13 2004-05-10 2004-10-01 -0.3332 185 84 101
2006-05-10 2006-06-13 2006-12-27 -0.3206 163 24 139
2007-07-24 2007-08-16 2007-09-24 -0.2652 45 18 27

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec EWZ
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA -0.6 0.0 0.0 2.3 0.0 0.0 1.7
2001 -4.2 0.0 0.0 0.1 -1.6 0.0 1.6 0.0 -2.0 1.8 0.0 0.0 -4.4
2002 0.2 2.1 4.3 0.1 0.0 -5.6 5.9 0.0 10.4 -0.4 0.0 0.0 17.4
2003 0.0 0.0 3.6 0.0 0.0 1.7 -4.0 0.0 2.8 0.0 4.0 0.0 8.1
2004 0.0 4.0 1.1 0.0 -1.5 1.3 0.0 -0.8 3.1 0.7 1.2 0.0 9.5
2005 0.1 -2.6 1.8 0.0 1.0 0.3 2.2 0.4 0.0 2.3 3.3 0.0 9.1
2006 -1.2 4.1 0.0 1.1 4.2 0.0 -1.3 2.4 0.0 0.5 -1.0 0.0 9.0
2007 1.6 -0.9 0.0 -0.1 3.2 0.0 -1.0 0.0 5.2 -2.8 0.0 0.0 5.1
2008 1.9 0.0 3.7 1.7 0.0 -1.7 -2.7 0.0 -0.1 0.0 -11.7 0.0 -9.3
2009 0.0 0.0 4.1 3.7 4.0 1.2 0.0 -2.3 -2.4 0.0 3.2 0.0 11.9
2010 4.5 1.9 1.8 0.0 -1.4 1.8 0.0 4.1 1.5 1.3 2.3 0.0 19.3
2011 2.0 -1.5 2.2 0.0 -2.1 1.1 -0.7 0.6 0.0 -2.9 1.5 0.0 0.1
2012 2.7 1.8 0.0 0.6 -2.5 0.0 0.4 0.0 0.9 2.0 0.0 0.0 5.8
2013 0.5 0.1 -0.9 -1.2 0.0 -0.2 0.9 0.0 1.0 -1.1 0.0 0.0 -0.9
2014 0.0 0.0 0.2 -0.4 0.0 0.2 0.5 0.0 -3.5 0.0 -4.1 0.0 -7.0
2015 0.0 0.0 2.8 0.0 0.7 -1.6 0.0 -4.6 0.0 0.0 0.3 0.0 -2.6
2016 0.3 5.3 2.2 0.0 1.7 1.2 -2.1 0.3 0.0 -3.4 -6.0 0.0 -1.0
2017 0.8 3.3 0.0 0.8 -0.8 0.0 0.8 1.5 0.0 -0.7 0.9 0.0 6.8
2018 0.3 0.0 0.0 -1.3 0.5 0.0 -0.3 0.0 -0.1 2.2 0.0 0.0 1.4
2019 0.1 -1.5 2.0 -1.7 0.0 0.4 -0.8 0.0 -1.1 1.1 0.0 -0.1 -1.7

Row

Rolling Performance Chart

Snail Trail Chart